Calculates Credit Risk Valuation Adjustments
Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA.
A two-way margin agreement has been implemented.
For the KVA calculation three regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM and IMM
The probability of default is implied through the credit spreads curve. Currently, only IRSwaps are supported.
If you want to become a contributor to the project or use this code for commercial purposes or for any other queries please contact us at email@example.com or visit our website www.openriskcalculator.com
If you have found this software of use, please consider supporting us by donating below: